Related papers: A New Distribution-Random Limit Normal Distributio…
In this paper we propose a new lifetime model, called the odd generalized exponential linear failure rate distribution. Some statistical properties of the proposed distribution such as the moments, the quantiles, the median, and the mode…
The modality is important topic for modelling. Using parametric models is an efficient way when real data set shows trimodality. In this paper we propose a new class of trimodal probability distributions, that is, probability distributions…
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.
There are some real life issues that are exists in nature which has early failure. This type of problems can be modelled either by a complex distribution having more than one parameter or by finite mixture of some distribution. In this…
The aim of this article is to determine a new six-parameter Beta Weibull distribution and its various associated functions, namely the cumulative distribution, survival, probability density and hazard functions. Next, we determine the…
An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…
The Central Limit Theorem states that, in the limit of a large number of terms, an appropriately scaled sum of independent random variables yields another random variable whose probability distribution tends to a stable distribution. The…
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…
In this paper, we introduce a new distribution called Burr III-Weibull(BW) distribution using the concept of competing risk. We derive moments, conditional moments, mean deviation and quantiles of the proposed distribution. Also the Renyi's…
We propose a variational tail bound for norms of random vectors under moment assumptions on their one-dimensional marginals. A simplified version of the bound that parametrizes the ``aggregating distribution'' using a certain pushforward of…
On the basis of Nelson-Aalen nonparametric estimator of the cumulative distribution function, we provide a weak approximation to tail product-limit process for randomly right-censored heavy-tailed data. In this context, a new consistent…
In order to properly manage risk, practitioners must understand the aggregate risks they are exposed to. Additionally, to properly price policies and calculate bonuses the relative riskiness of individual business units must be well…
Recently Sasane defined a notion of evaluating a distribution at a point using delta sequences. In this paper, we explore the relationship between generalizations of his definition and the standard definition of distributional point values.…
In this paper we present an alternative representation of the Negative Binomial--Lindley distribution recently proposed by Zamani and Ismail (2010) which shows some advantages over the latter model. This new formulation provides a tractable…
This paper presents a class of new algorithms for distributed statistical estimation that exploit divide-and-conquer approach. We show that one of the key benefits of the divide-and-conquer strategy is robustness, an important…
We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral tail process, which is incorporated into the new estimator…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
Heavy-tailed distributions are widely used in robust mixture modelling due to possessing thick tails. As a computationally tractable subclass of the stable distributions, sub-Gaussian $\alpha$-stable distribution received much interest in…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
A new multivariate distribution possessing arbitrarily parametrized and positively dependent univariate Pareto margins is introduced. Unlike the probability law of Asimit et al. (2010) [Asimit, V., Furman, E. and Vernic, R. (2010) On a…